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Forecasting inflation in the european monetary union: a disaggregated approach by countries and by sectors

Listed author(s):
  • Espasa, Antoni
  • Senra, Eva
  • Albacete, Rebeca

Inflation in the European Monetary Union is measured by the Harmonised Indices of Consumer Prices (HICP) and it can be analysed by breaking down the aggregate index in two different ways. One refers to the breakdown into price indexes corresponding to big groups of markets throughout the European countries and another considers the HICP by countries. Both disaggregations are of interest because in each one, the component prices are not fully cointegrated, having more than one common factor in their trends. The paper shows that the breakdown by group of markets improves the European inflation forecasts and constitutes a framework in which general and specific indicators can be introduced for further improvements

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File URL: https://e-archivo.uc3m.es/bitstream/handle/10016/169/ws013723.pdf?sequence=1
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Paper provided by Universidad Carlos III de Madrid. Departamento de Estadística in its series DES - Working Papers. Statistics and Econometrics. WS with number ws013723.

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Date of creation: Jun 2001
Handle: RePEc:cte:wsrepe:ws013723
Contact details of provider: Web page: http://portal.uc3m.es/portal/page/portal/dpto_estadistica

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  1. Tobias, Justin & Zellner, Arnold, 2000. "A Note on Aggregation, Disaggregation and Forecasting Performance," Staff General Research Papers Archive 12024, Iowa State University, Department of Economics.
  2. James H. Stock & Mark W. Watson, 1998. "Diffusion Indexes," NBER Working Papers 6702, National Bureau of Economic Research, Inc.
  3. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
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